Figure out which movies you would like to watch on your hand-held video-game player. Make a list ahead of time so you don't miss any.
Go to pricegrabber.com/search_attrib_video.php//format=UMD/sortby=release_year- which has a current list of movies in UMD format and see if the movies you are interested in are available in this format.
Compare prices from both online and offline stores. There are lot of used UMD movies available now so you may be able to find the movies you are most interested in having in UMD format for a better price used.
Purchase the UMD movies that you like best for the lowest price. The lower the price you can get for one movie, the more money you will save to buy another movie or something else.
Test the UMD movie you purchased whether used or new in your Sony PSP or other player to be sure it is not damaged and works properly. If not and the movie is new then return it for another copy. If the movie is used find out what the store's return policy is and return it if possible.